Major International Information Flows Across the Safex Wheat Market
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Major International Information Flows Across the Safex Wheat Market

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Major International Information Flows Across the Safex Wheat Market

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dc.contributor.author Motengwe, Chris
dc.contributor.author Pardo Tornero, Ángel
dc.date.accessioned 2022-05-18T14:09:49Z
dc.date.available 2022-05-18T14:09:49Z
dc.date.issued 2016
dc.identifier.uri https://hdl.handle.net/10550/82832
dc.description.abstract Abstract We study information flows across four wheat futures markets on four continents: Zhengzhou Commodity Exchange (ZCE), South African Futures Exchange (SAFEX), Euronext/Liffe and Kansas City Board of Trade (KCBT). Three approaches for studying information flows among non-synchronous markets are applied: cointegration techniques, vector autoregressive analysis and multiple regression proposed. Although comparable underlying assets are traded in the four markets, our results indicate that no long-run links exist among them. ZCE is by far the most endogenous market, and Euronext/Liffe is the most exogenous one. Finally, the model points to KCBT as the most influential and sensitive wheat market. Our findings indicate that the relative openness of the SAFEX wheat market supports information flows and linkages from KCBT and Euronext/ Liffe. Therefore, our results suggest that more supportive policies to incentivise higher wheat production in South Africa are required to mitigate the impact of price shocks emanating from the global wheat markets.
dc.language.iso eng
dc.relation.ispartof South African Journal of Economics, 2016, vol. 84, num. 4, p. 636-653
dc.rights.uri info:eu-repo/semantics/openAccess
dc.source Motengwe, Chris Pardo Tornero, Ángel 2016 Major International Information Flows Across the Safex Wheat Market South African Journal of Economics 84 4 636 653
dc.subject Economia
dc.subject Productivitat agrícola
dc.subject Borsa de valors
dc.title Major International Information Flows Across the Safex Wheat Market
dc.type info:eu-repo/semantics/article
dc.date.updated 2022-05-18T14:09:49Z
dc.identifier.doi https://doi.org/10.1111/saje.12128/full
dc.identifier.idgrec 116408

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